Fractional backward Kolmogorov equations |
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| Authors: | Zhang Hong Li Guo-Hua Luo Mao-Kang |
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| Affiliation: | College of Mathematics, Sichuan University, Chengdu 610064, China |
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| Abstract: | This paper derives the fractional backward Kolmogorov equations in fractal space-time based on the construction of a model for dynamic trajectories. It shows that for the type of fractional backward Kolmogorov equation in the fractal time whose coefficient functions are independent of time, its solution is equal to the transfer probability density function of the subordinated process X(Sα(t)), the subordinator Sα(t) is termed as the inverse-time α-stable subordinator and the process X(τ) satisfies the corresponding time homogeneous Itô stochastic differential equation. |
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| Keywords: | anomalous diffusive fractional backward Kolmogorov equations subordinated process |
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